Abstract
To compare the impact of fundamental news with the publication of traders’ positions in an event study framework, a generalized autoregressive conditional heteroscedasticity (GARCH) model with t-distributed error terms is applied to corn, soybean, and wheat futures returns from January 1996 to June 2014. While fundamental news remain an important source of information for market partici-pants in grain futures markets, the results of this analysis reveal that the information content of traders’ positions from the Commitments of Traders (COT) report has gained importance in the corn and wheat futures market. The impact of traders’ positions seems to be more pronounced in grain futures markets, where the presence of commodity index traders is higher and those of professional speculators (money managers) lower.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
